A Heuristic for Moment-Matching Scenario Generation

In stochastic programming models we always face the problem of how to represent the random variables. This is particularly difficult with multidimensional distributions. We present an algorithm that produces a discrete joint distribution consistent with specified values of the first four marginal moments and correlations. The joint distribution is constructed by decomposing the multivariate problem into univariate ones, and using an iterative procedure that combines simulation, Cholesky decomposition and various transformations to achieve the correct correlations without changing the marginal moments.With the algorithm, we can generate 1000 one-period scenarios for 12 random variables in 16 seconds, and for 20 random variables in 48 seconds, on a Pentium III machine.     

Reflections and Three-Dimensionality

If the dimension of a linear space is not greater than 3, then the characteristic polynomial of the Coxeter transformation associated with any symmetric matrix is invariant under the natural action of the symmetric group. If the dimensionality is greater than 3, then this statement does not hold. The set of all trees such that the spectrum of their associated Coxeter transformation contains negative one is three-dimensional.     

Restricted signed permutations counted by the Schröder numbers

Gire, West, and Kremer have found ten classes of restricted permutations counted by the large Schröder numbers, no two of which are trivially Wilf-equivalent. In this paper we enumerate eleven classes of restricted signed permutations counted by the large Schröder numbers, no two of which are trivially Wilf-equivalent. We obtain five of these enumerations by elementary methods, five by displaying isomorphisms with the classical Schröder generating tree, and one by giving an isomorphism with a new Schröder generating tree. When combined with a result of Egge and a computer search, this completes the classification of restricted signed permutations counted by the large Schröder numbers in which the set of restrictions consists of two patterns of length 2 and two of length 3.     

Simulated annealing algorithm for the robust spanning tree problem

This paper addresses the robust spanning tree problem with interval data, i.e. the case of classical minimum spanning tree problem when edge weights are not fixed but take their values from some intervals associated with edges. The problem consists of finding a spanning tree that minimizes so-called robust deviation, i.e. deviation from an optimal solution under the worst case realization of interval weights. As it was proven in Kouvelis and Yu (Robust Discrete Optimization and Its Applications, Kluwer Academic, Norwell, 1997), the problem is NP-hard, therefore it is of great interest to tackle it with some metaheuristic approach, namely simulated annealing, in order to calculate an approximate solution for large scale instances efficiently. We describe theoretical aspects and present the results of computational experiments. To the best of our knowledge, this is the first attempt to develop a metaheuristic approach for solving the robust spanning tree problem.     

Optimal expansion and design of competence sets with asymmetric acquiring costs

This paper provides a method of finding the optimal expansion process and discusses the marginal analysis for expansion of the competence set when the cost functions are asymmetric. The concept of tree expansion process is introduced, and a method of finding the optimal tree expansion process is given. The paper also shows a way to identify the optimal competence set when both the expected return and cost are considered.     

Adaptive discretization of convex multistage stochastic programs

We propose a new scenario tree reduction algorithm for multistage stochastic programs, which integrates the reduction of a scenario tree into the solution process of the stochastic program. This allows to construct a scenario tree that is highly adapted on the optimization problem. The algorithm starts with a rough approximation of the original tree and locally refines this approximation as long as necessary. Promising numerical results for scenario tree reductions in the settings of portfolio management and power management with uncertain load are presented.     

子图识别的层分解方法

子图识别问题(SRP)就是在一个图G中确定并寻找是否存在和另一个图H相同构的子图．本文将引入图的层分解概念，并以此为基础建立识别图的同构子图的算法．该算法的复杂性为O(n(△-1)^k-1)，其中△是图G的度，即G中点的最大度，n，k分别是图G，H的阶．     

一类多步矩阵对策上的计策问题

以有序树为工具,研究了可以描述连环计,诱敌深入等多步矩阵对策上的一类计策模型.在不考虑信息环境的封闭对策系统中,及局中人对每一步矩阵对策的赢得矩阵,两个局中人的策略集合以及局中人的理性等的了解都是局中人的共同知识的假定下,提出了局中人的最优计策链及将计就计等概念,研究了局中人中计和识破计策的固有概率,讨论了局中人在什么情况下最好主动用计,在什么情况下最好从动用计以及求解最优计策等问题.     

5-桥图F(2,a,a,b,c)的色等价刻画

设P(G，λ)是图G关于变量λ的色多项式，P(G，λ)=P(H，λ)，称G和H色等价，由连接两个顶点的S条内部不交的路组成的图叫S-桥图。本讨论了5-桥图F(2,a,a,b,c)(c≥b≥a 1，a≥2)的色性，完整刻画了这类图的色等价图。